International Evidence on Institutional Trading Behavior and Price Impact

ABSTRACT

This study characterizes institutional trading in international stocks from 37 countries during 1997 to 1998 and 2001. We
find that the underlying market condition is a major determinant of the price impact and, more importantly, of the asymmetry
between price impacts of institutional buy and sell orders. In bullish markets, institutional purchases have a bigger price
impact than sells; however, in the bearish markets, sells have a higher price impact. This differs from previous findings
on price impact asymmetry. Our study further suggests that price impact varies depending on order characteristics, firm‐specific
factors, and cross‐country differences.